Hi,
While trying to build AUD and NZD curves, I realized Quantlib doesn't have explicit support for the BBSW and BKBM indexes. While it is possible to instantiate those indexes through the IborIndex parent class, I think there would be value to have them explicitly defined like Euribor3M is for instance.
As a follow up item, the associated swap rates could also be added.
If you agree, I'd be happy to do the work and propose through a pull request.
Please advise if that's something you'd be interested in.
F.
lballabio
commented
8 years ago
Hi, While trying to build AUD and NZD curves, I realized Quantlib doesn't have explicit support for the BBSW and BKBM indexes. While it is possible to instantiate those indexes through the IborIndex parent class, I think there would be value to have them explicitly defined like Euribor3M is for instance. As a follow up item, the associated swap rates could also be added. If you agree, I'd be happy to do the work and propose through a pull request. Please advise if that's something you'd be interested in. F.